Network structure detection and analysis of Shanghai stock market
In order to investigate community structure of the component stocks of SSE (Shanghai Stock Exchange) 180-index, a stock correlation network is built to find the intra-community and inter-community relationship.</p> <p><strong>Design/methodology/approach:</strong> The stock co...
Đã lưu trong:
| Tác giả chính: | , , |
|---|---|
| Năm xuất bản: |
OmniaScience
2018
|
| Chủ đề: | |
| Truy cập Trực tuyến: | http://lrc.quangbinhuni.edu.vn:8181/dspace/handle/DHQB_123456789/3726 |
| Tags: |
Thêm thẻ
Không có thẻ, Hãy là người đầu tiên gắn thẻ bản ghi này!
|
| id |
oai:localhost:DHQB_123456789-3726 |
|---|---|
| recordtype |
dspace |
| spelling |
oai:localhost:DHQB_123456789-37262018-10-22T08:44:58Z Network structure detection and analysis of Shanghai stock market Sen, Wu Mengjiao, Tuo Deying, Xiong Social Sciences stock market community structure GN algorithm In order to investigate community structure of the component stocks of SSE (Shanghai Stock Exchange) 180-index, a stock correlation network is built to find the intra-community and inter-community relationship.</p> <p><strong>Design/methodology/approach:</strong> The stock correlation network is built taking the vertices as stocks and edges as correlation coefficients of logarithm returns of stock price. It is built as undirected weighted at first. GN algorithm is selected to detect community structure after transferring the network into un-weighted with different thresholds.</p> <p><strong>Findings:</strong> The result of the network community structure analysis shows that the stock market has obvious industrial characteristics. Most of the stocks in the same industry or in the same supply chain are assigned to the same community. The correlation of the internal stock prices’ fluctuation is closer than in different communities. The result of community structure detection also reflects correlations among different industries.</p> <p><strong>Originality/value:</strong> Based on the analysis of the community structure in Shanghai stock market, the result reflects some industrial characteristics, which has reference value to relationship among industries or sub-sectors of listed companies 2018-07-26T08:36:40Z 2018-07-26T08:36:40Z 2015 http://lrc.quangbinhuni.edu.vn:8181/dspace/handle/DHQB_123456789/3726 OmniaScience |
| institution |
Trung tâm Học liệu Đại học Quảng Bình (Dspace) |
| collection |
Trung tâm Học liệu Đại học Quảng Bình (Dspace) |
| topic |
Social Sciences stock market community structure GN algorithm |
| spellingShingle |
Social Sciences stock market community structure GN algorithm Sen, Wu Mengjiao, Tuo Deying, Xiong Network structure detection and analysis of Shanghai stock market |
| description |
In order to investigate community structure of the component stocks of SSE (Shanghai Stock Exchange) 180-index, a stock correlation network is built to find the intra-community and inter-community relationship.</p> <p><strong>Design/methodology/approach:</strong> The stock correlation network is built taking the vertices as stocks and edges as correlation coefficients of logarithm returns of stock price. It is built as undirected weighted at first. GN algorithm is selected to detect community structure after transferring the network into un-weighted with different thresholds.</p> <p><strong>Findings:</strong> The result of the network community structure analysis shows that the stock market has obvious industrial characteristics. Most of the stocks in the same industry or in the same supply chain are assigned to the same community. The correlation of the internal stock prices’ fluctuation is closer than in different communities. The result of community structure detection also reflects correlations among different industries.</p> <p><strong>Originality/value:</strong> Based on the analysis of the community structure in Shanghai stock market, the result reflects some industrial characteristics, which has reference value to relationship among industries or sub-sectors of listed companies |
| author |
Sen, Wu Mengjiao, Tuo Deying, Xiong |
| author_facet |
Sen, Wu Mengjiao, Tuo Deying, Xiong |
| author_sort |
Sen, Wu |
| title |
Network structure detection and analysis of Shanghai stock market |
| title_short |
Network structure detection and analysis of Shanghai stock market |
| title_full |
Network structure detection and analysis of Shanghai stock market |
| title_fullStr |
Network structure detection and analysis of Shanghai stock market |
| title_full_unstemmed |
Network structure detection and analysis of Shanghai stock market |
| title_sort |
network structure detection and analysis of shanghai stock market |
| publisher |
OmniaScience |
| publishDate |
2018 |
| url |
http://lrc.quangbinhuni.edu.vn:8181/dspace/handle/DHQB_123456789/3726 |
| _version_ |
1717292440022417408 |
| score |
9,463379 |